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a week ago
...ast_break_date = date; else if last.breakhigh then last_break_date = .; run; data Returns; merge highs(in=a) CRSP(in=b rename=(date=date_future PRC=P...
03-23-2020
12:03 AM
...%, 2.4%, 1%, -1.2%, -0.5%, 0.7%, 1%, and 1.5%. Using the above monthly returns, we can calculate the annualized returns as follows: APY = (1.02)(1.022)(1.021)(0.985)(1.02)(1.024)(1.01)(0.988)(0.995)(1...
04-27-2017
03:00 AM
Hi everyone,
Can you please help me to calculate compounding monthly returns using daily returns? The first step, if the number of non-missing daily returns or daily return with a value e...
05-10-2014
07:27 AM
Hi, I need to calculate the cumulative abnormal returns (CAR). I include the portion of two datasets. The abnormal returns of firms ( US7750431022 US45170X1063 US0394831020 US5801351017) are i...
03-09-2021
02:51 PM
Hi all
Please need to simplify the following code or alternative more efficient way to do it:
proc sort data=example ;
by ISIN datadate;
run;
data example ;
set example;
lag_ISIN=la...
06-26-2014
12:57 PM
...onth, calculates the cumulative product of all of the variable Y. So for month 1, it would have a value of 1, then for month 2, it would be 3, then for month 3, it would be 6, and for month 4, it w...
10-15-2015
02:04 AM
...89 trading days) and 12 months(252 trading days) stock buy-and-hold returns. MY data is as below: (252 may not be the last data of a firm) Firm_ID date daye rtn 1101 2009/8/2...
01-08-2018
11:22 PM
...oprint;
where 3<=td_count and date<=leadrdq1;
by permno rdq;
var ret;
output out=CAR2 (rename=(_freq_=daysCAR2)) sum=CAR2;
run; I am trying to calculate returns around earnings a...
06-28-2017
06:02 AM
Hi guys.
I am having a problem with calculating rolling window cumulative returns.
I have a panel data set with daily returns of approximately 40 different companies and 8 y...
02-21-2020
09:42 PM
...riginal definition (0.052). data c4; ** Generate 12-month rolling benchmark returns ** ** Do this only once and save in an array **; if _n_=1 then do until (end_of_benchmark); set benchmark e...